Details about Eric Benhamou

Access statistics for papers by Eric Benhamou.

Last updated 2021-04-06. Update your information in the RePEc Author Service.

Short-id: pbe39

Working Papers

2020

1. AAMDRL: Augmented Asset Management with Deep Reinforcement Learning
   Papers, arXiv.org View citations (1)
2. Bridging the gap between Markowitz planning and deep reinforcement learning
   Papers, arXiv.org View citations (3)
3. Detecting and adapting to crisis pattern with context based Deep Reinforcement Learning
   Papers, arXiv.org View citations (4)
4. Omega and Sharpe ratio
   Working Papers, HAL
   Also in Papers, arXiv.org (2019) View citations (3)
5. Testing Sharpe ratio: luck or skill?
   Working Papers, HAL
   Also in Papers, arXiv.org (2019) View citations (5)
6. Time your hedge with Deep Reinforcement Learning
   Papers, arXiv.org View citations (4)

2019

7. Connecting Sharpe ratio and Student t-statistic, and beyond
   Working Papers, HAL View citations (3)
   Also in Papers, arXiv.org (2019) View citations (3)
8. Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets
   Working Papers, HAL
   Also in Papers, arXiv.org (2018) View citations (3)

2018

9. Incremental Sharpe and other performance ratios
   Papers, arXiv.org View citations (2)
   Also in Post-Print, HAL (2018) View citations (2)
   See also Journal Article Incremental Sharpe and other performance ratios, Journal of Statistical and Econometric Methods, SCIENPRESS Ltd (2018) View citations (2) (2018)
10. Trade Selection with Supervised Learning and OCA
    Papers, arXiv.org
11. Trend without hiccups: a Kalman filter approach
    Papers, arXiv.org View citations (4)

2010

12. Expansion formulas for European options in a local volatility model
    Post-Print, HAL View citations (15)
    See also Journal Article EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2010) View citations (19) (2010)

2009

13. Smart expansion and fast calibration for jump diffusion
    Post-Print, HAL View citations (21)
    Also in Papers, arXiv.org (2008)
    See also Journal Article Smart expansion and fast calibration for jump diffusions, Finance and Stochastics, Springer (2009) View citations (29) (2009)

2004

14. A market model for inflation
    Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1) View citations (13)

2002

15. A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks
    Finance, University Library of Munich, Germany
    Also in FMG Discussion Papers, Financial Markets Group (2000)
16. A Martingale Result for Convexity Adjustment in the Black Pricing Model
    Finance, University Library of Munich, Germany View citations (5)
17. Option pricing with Levy Process
    Finance, University Library of Munich, Germany View citations (6)
18. Smart Monte Carlo: Various tricks using Malliavin calculus
    Finance, University Library of Munich, Germany View citations (6)
    See also Journal Article Smart Monte Carlo: various tricks using Malliavin calculus, Quantitative Finance, Taylor & Francis Journals (2002) View citations (6) (2002)

2001

19. Fast Fourier Transform for discrete Asian Options
    Computing in Economics and Finance 2001, Society for Computational Economics View citations (9)

2000

20. A 2 DIMENSIONAL PDE FOR DISCRETE ASIAN OPTIONS
    Computing in Economics and Finance 2000, Society for Computational Economics
21. On the Competition Between ECNs, Stock Markets and Market Makers
    FMG Discussion Papers, Financial Markets Group View citations (4)
22. Pricing Convexity Adjustment with Wiener Chaos
    FMG Discussion Papers, Financial Markets Group View citations (5)

Journal Articles

2019

1. T-statistic for Autoregressive process
   Journal of Statistical and Econometric Methods, 2019, 8, (1), 2

2018

2. Incremental Sharpe and other performance ratios
   Journal of Statistical and Econometric Methods, 2018, 7, (4), 2 View citations (2)
   See also Working Paper Incremental Sharpe and other performance ratios, Papers (2018) View citations (2) (2018)

2012

3. Analytical formulas for a local volatility model with stochastic rates
   Quantitative Finance, 2012, 12, (2), 185-198 View citations (13)

2010

4. EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL
   International Journal of Theoretical and Applied Finance (IJTAF), 2010, 13, (04), 603-634 View citations (19)
   See also Working Paper Expansion formulas for European options in a local volatility model, Post-Print (2010) View citations (15) (2010)

2009

5. Smart expansion and fast calibration for jump diffusions
   Finance and Stochastics, 2009, 13, (4), 563-589 View citations (29)
   See also Working Paper Smart expansion and fast calibration for jump diffusion, Post-Print (2009) View citations (21) (2009)

2003

6. Optimal Malliavin Weighting Function for the Computation of the Greeks
   Mathematical Finance, 2003, 13, (1), 37-53 View citations (21)
7. Small dimension PDE for discrete Asian options
   Journal of Economic Dynamics and Control, 2003, 27, (11-12), 2095-2114 View citations (2)
   Also in Journal of Economic Dynamics and Control, 2003, 27, (11), 2095-2114 (2003) View citations (2)

2002

8. Smart Monte Carlo: various tricks using Malliavin calculus
   Quantitative Finance, 2002, 2, (5), 329-336 View citations (6)
   See also Working Paper Smart Monte Carlo: Various tricks using Malliavin calculus, Finance (2002) View citations (6) (2002)